对于Kingwan交易的1lot,我一直有个想法.提出来大家看看有没有可能.因为交易记录里面有个cp(counter party)是说明买/卖你股票的机构/卷商是谁.
这1 lot的buyup或selldown是不是有人用来看到底是谁在买或是卖呢,以此推断庄家的行为.
因为有些一两毛钱的股票也钦庋?所以应该不是小散户的做法或庄家出货.而且这1 lot的交易经常是速度极快,在价格刚上/下一个价位的时候马上执行的.应该是电脑自动交易.
这样做的成本不高,担可能效果不错.虽然这不一定能确切知道买/卖家是谁,不过如果庄家一直用同一个机构买卖,就能看出点端倪来.
个人愚见,欢迎砖头.
附:cp list from POEMS
one example of program trading
Time BuyQ Buy TVol Price W Sell SellQ
16:41:53 (1) 80 3.5
16:41:52 (-1) 79 3.5
16:41:24 1 3.52 s
16:41:24 3.52 (-1) 41
16:41:23 (-1) 80 3.5
16:40:52 (1) 81 3.5
16:40:51 (-1) 80 3.5
16:39:52 (1) 81 3.5
16:39:51 (-1) 80 3.5
16:39:34 3.52 (-3) 42
16:39:34 3 3.52 s
16:38:53 (1) 81 3.5
16:38:52 (-1) 80 3.5
16:38:19 (1) 81 3.5
16:37:52 (1) 80 3.5
16:37:51 (-1) 79 3.5
16:37:44 3.52 (6) 45
16:37:31 3.52 (1) 39
16:36:53 (1) 80 3.5
16:36:52 (-1) 79 3.5
16:36:36 3.52 (-2) 38
16:36:36 2 3.52 s
16:35:52 (1) 80 3.5
16:35:51 (-1) 79 3.5
16:35:45 3.52 (5) 40
16:34:52 (1) 80 3.5
16:34:51 (-1) 79 3.5
16:34:27 3 3.52 s
16:34:27 3.52 (-3) 35
June 29th, 2007------- HL Asia
Between 16:34:51 & 16:41:53 period, There was one institute used program to keep withdrawing and adding one lot on HL Asia Bid side to make bid size volume changing from 79 lots to 80 lots. There was 1 lot added @ 16:38:19 which was not a program order.
16:41:53 (1) 80 3.5
16:41:52 (-1) 79 3.5
16:41:24 1 3.52 s
16:41:24 3.52 (-1) 41
16:41:23 (-1) 80 3.5
16:40:52 (1) 81 3.5
16:40:51 (-1) 80 3.5
16:39:52 (1) 81 3.5
16:39:51 (-1) 80 3.5
16:39:34 3.52 (-3) 42
16:39:34 3 3.52 s
16:38:53 (1) 81 3.5
16:38:52 (-1) 80 3.5
16:38:19 (1) 81 3.5
16:37:52 (1) 80 3.5
16:37:51 (-1) 79 3.5
16:37:44 3.52 (6) 45
16:37:31 3.52 (1) 39
16:36:53 (1) 80 3.5
16:36:52 (-1) 79 3.5
16:36:36 3.52 (-2) 38
16:36:36 2 3.52 s
16:35:52 (1) 80 3.5
16:35:51 (-1) 79 3.5
16:35:45 3.52 (5) 40
16:34:52 (1) 80 3.5
16:34:51 (-1) 79 3.5
16:34:27 3 3.52 s
16:34:27 3.52 (-3) 35
June 29th, 2007------- HL Asia
Between 16:34:51 & 16:41:53 period, There was one institute used program to keep withdrawing and adding one lot on HL Asia Bid side to make bid size volume changing from 79 lots to 80 lots. There was 1 lot added @ 16:38:19 which was not a program order.
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